Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes

Abstract

Many thanks also go to Yen-Ju Hsu and to Valeri Sokolovski. Special thanks also go to a reviewer of this journal, as well as to the Editor for giving them the opportunity to revise their work.

Based on the Perspective of Fuzzy Theory and GARCH-MIDAS Method to See How Economic Policy Uncertainty Drives the Volatility of Asian Emerging Stock Market

“…In this case, the sentiment index exists in the conditional mean and volatility equations. The survey results show that there is a significant impact on the mean and volatility of earnings, while the news sentiment/stock yield correlation is enhanced during the crisis [14].…”

Whose speeches impact European markets: ECB's or the national central banks'?

“…Dossani (2018) examines how the central bank press conferences impact the risk premia in the currency markets and finds significant results. Schmeling and Wagner (2019) and Apergis and Pragidis (2019) also quantify central bank tone and analyze its impact on market return and volatility. More recently, Hubert and Labondance (2021) and Gonzalez and Tadle (2021) quantify and examine the impact of the tone of FOMC statements and press releases, respectively.…”

“…Central bank communication has been found to be significantly associated with an array of economic variables such as interest rate (Demiralp & Jorda, 2004; Kohn & Sack, 2003; Lucca & Trebbi, 2009; Smales & Apergis, 2017); money supply (Gerlach, 2007); currency market (Dossani, 2018) and stock return and volatility (Apergis & Pragidis, 2019; Ehrmann & Fratzscher, 2004; Savor & Wilson, 2013; Schmeling & Wagner, 2019). Hubert and Labondance (2021) report that that the US Federal Open Market Committee (FOMC) statements explain monetary surprises beyond policy announcements.…”

“…The methodology used to extract the tone of central bank communication is borrowed from Anand et al (2021), using polar words (negative/positive) from the Loughran and McDonald Dictionary (LM hereafter) (Loughran & McDonald, 2011) and polar phrases extracted in line with Apel and Grimaldi (2014) and Apergis and Pragidis (2019), along with appropriately weighed valence shifters (adjectives and adverbs) which modify the meaning of words but have not been given weightage in the LM dictionary.…”

“…with Apel and Grimaldi (2014) and Apergis and Pragidis (2019), along with appropriately weighed valence shifters (adjectives and adverbs) which modify the meaning of words but have not been given weightage in the LM dictionary.…”